Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/230716 
Autor:innen: 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
IRTG 1792 Discussion Paper No. 2018-005
Verlag: 
Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Berlin
Zusammenfassung: 
The recent evolution of cryptocurrencies has been characterized by bubble-like behavior and extreme volatility. While it is difficult to assess an intrinsic value to a specific cryptocurrency, one can employ recently proposed bubble tests that rely on recursive applications of classical unit root tests. This paper extends this approach to the case where volatility is time varying, assuming a deterministic longrun component that may take into account a decrease of unconditional volatility when the cryptocurrency matures with a higher market dissemination. Volatility also includes a stochastic short-run component to capture volatility clustering. The wild bootstrap is shown to correctly adjust the size properties of the bubble test, which retains good power properties. In an empirical application using eleven of the largest cryptocurrencies and the CRIX index, the general evidence in favor of bubbles is confirmed, but much less pronounced than under constant volatility.
Schlagwörter: 
cryptocurrencies
speculative bubbles
wild bootstrap
volatility
JEL: 
C14
C43
Z11
Dokumentart: 
Working Paper

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